SebitChem (Korea) Market Value
| 107600 Stock | 18,290 880.00 5.05% |
| Symbol | SebitChem |
SebitChem 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to SebitChem's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of SebitChem.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in SebitChem on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding SebitChem Co or generate 0.0% return on investment in SebitChem over 30 days.
SebitChem Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure SebitChem's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess SebitChem Co upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.24) | |||
| Maximum Drawdown | 12.66 | |||
| Value At Risk | (6.00) | |||
| Potential Upside | 5.42 |
SebitChem Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SebitChem's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SebitChem's standard deviation. In reality, there are many statistical measures that can use SebitChem historical prices to predict the future SebitChem's volatility.| Risk Adjusted Performance | (0.15) | |||
| Jensen Alpha | (0.61) | |||
| Total Risk Alpha | (1.12) | |||
| Treynor Ratio | 2.59 |
SebitChem Backtested Returns
SebitChem owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.21, which indicates the firm had a -0.21% return per unit of risk over the last 3 months. SebitChem Co exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SebitChem's Risk Adjusted Performance of (0.15), coefficient of variation of (494.75), and Variance of 9.6 to confirm the risk estimate we provide. The entity has a beta of -0.25, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning SebitChem are expected to decrease at a much lower rate. During the bear market, SebitChem is likely to outperform the market. At this point, SebitChem has a negative expected return of -0.67%. Please make sure to validate SebitChem's market risk adjusted performance, coefficient of variation, jensen alpha, as well as the relationship between the mean deviation and standard deviation , to decide if SebitChem performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.38 |
Below average predictability
SebitChem Co has below average predictability. Overlapping area represents the amount of predictability between SebitChem time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of SebitChem price movement. The serial correlation of 0.38 indicates that just about 38.0% of current SebitChem price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | 0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 797.8 K |
SebitChem lagged returns against current returns
Autocorrelation, which is SebitChem stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting SebitChem's stock expected returns. We can calculate the autocorrelation of SebitChem returns to help us make a trade decision. For example, suppose you find that SebitChem has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
SebitChem regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If SebitChem stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SebitChem stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SebitChem stock over time.
Current vs Lagged Prices |
| Timeline |
SebitChem Lagged Returns
When evaluating SebitChem's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SebitChem stock have on its future price. SebitChem autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, SebitChem autocorrelation shows the relationship between SebitChem stock current value and its past values and can show if there is a momentum factor associated with investing in SebitChem Co.
Regressed Prices |
| Timeline |
Pair Trading with SebitChem
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if SebitChem position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in SebitChem will appreciate offsetting losses from the drop in the long position's value.Moving together with SebitChem Stock
The ability to find closely correlated positions to SebitChem could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SebitChem when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back SebitChem - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling SebitChem Co to buy it.
The correlation of SebitChem is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as SebitChem moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SebitChem moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for SebitChem can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.